Thanks for your report.

This bug has been added to the tracker:
Issue 1114 – Transfer settings speed limit does not apply

WinSCP 5.5.1 build 3970, and 5.5.0 (checked back to a previous version, works as expected with 'Copy' in 5.1.5), SFTP-3, GUI, no added automation/scripting, Commander interface, Windows 7, 64-bit

1. Right click a remote file of at least a few megabytes -> Download
   
2. Click the 'Transfer settings...' button
   
3. Enter a speed limit of 1KiB/sec (or anything which is noticeably less than your typical maximum speed)
   
4. Click OK
   
5. Note the Transfer Settings pane on the window includes 'Transfer speed limit: 1 KiB/s'.
   
6. Click OK to start the transfer.
   
7. Note the transfer speed limit is 'Unlimited' and the speed of the transfer is greater than the transfer speed limit entered previously.
   

I've added a speed limit to every preset to see if I can force it (maybe I misunderstand how presets work?), but it seems the only way to get the transfer speed limited is to click the dropdown in the transfer progress window when it's actually transferring.

I don't use the transfer in background feature.